Northern Trust (Ireland) Risk Analysis And Volatility Evaluation

IE00BRYG9J40 -- Ireland Fund  

EUR 10.39  0.01  0.1%

Macroaxis considers Northern Trust unknown risk given 1 month investment horizon. Northern Trust Euro has Sharpe Ratio of 0.4792 which conveys that Northern Trust Euro had 0.4792% of return per unit of risk over the last 1 month. Our philosophy towards estimating volatility of a fund is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Northern Trust which you can use to evaluate future volatility of the organization. Please exercise Northern Trust Euro Fundamental Idx A Mean Deviation of 0.9347 and Risk Adjusted Performance of 0.010784 to check out if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

Northern Trust Market Sensitivity

As returns on market increase, Northern Trust returns are expected to increase less than the market. However during bear market, the loss on holding Northern Trust will be expected to be smaller as well.
One Month Beta |Analyze Northern Trust Euro Demand Trend
Check current 30 days Northern Trust correlation with market (DOW)
β = 0.3306
Northern Trust Small BetaNorthern Trust Euro Beta Legend

Northern Trust Euro Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Northern Trust has beta of 0.3306 . This indicates as returns on market go up, Northern Trust average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Northern Trust Euro Fundamental Idx A will be expected to be much smaller as well. Additionally, Northern Trust Euro Fundamental Idx A has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Northern Trust is 208.66. The daily returns are destributed with a variance of 0.54 and standard deviation of 0.74. The mean deviation of Northern Trust Euro Fundamental Idx A is currently at 0.53. For similar time horizon, the selected benchmark (DOW) has volatility of 0.46
α
Alpha over DOW
=0.1
β
Beta against DOW=0.33
σ
Overall volatility
=0.73
Ir
Information ratio =0.13

Actual Return Volatility

Northern Trust Euro Fundamental Idx A accepts 0.735% volatility on return distribution over the 30 days horizon. DOW inherits 0.5115% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Northern Trust Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Northern Trust Investment Opportunity
Northern Trust Euro Fundamental Idx A has a volatility of 0.74 and is 1.45 times more volatile than DOW. 6% of all equities and portfolios are less risky than Northern Trust. Compared to the overall equity markets, volatility of historical daily returns of Northern Trust Euro Fundamental Idx A is lower than 6 (%) of all global equities and portfolios over the last 30 days. Use Northern Trust Euro Fundamental Idx A to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of Northern Trust to be traded at €10.91 in 30 days. As returns on market increase, Northern Trust returns are expected to increase less than the market. However during bear market, the loss on holding Northern Trust will be expected to be smaller as well.

Northern Trust correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding Northern Trust Euro Fundamenta and equity matching DJI index in the same portfolio.
Please also check Risk vs Return Analysis. Please also try Transaction History module to view history of all your transactions and understand their impact on performance.
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